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Volume 15
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Article

Market Intraday Momentum with New Measures for Trading Cost: Evidence from KOSPI Index

by
Chien-Yuan Lai
1,
Zhen-Yu Lin
1,
Cheoljun Eom
2 and
Ping-Chen Tsai
1,*
1
Department of Finance, National Sun Yat-sen University, Kaohsiung 804, Taiwan
2
School of Business, Pusan National University, Busan 46241, Korea
*
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2022, 15(11), 523; https://doi.org/10.3390/jrfm15110523
Submission received: 5 October 2022 / Revised: 1 November 2022 / Accepted: 2 November 2022 / Published: 8 November 2022
(This article belongs to the Special Issue Theoretical, Empirical, and Experimental Aspects of Market Microstructure II)
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Abstract

Evidence on Market Intraday Momentum (MIM) has been documented in the United states and in some, but not all, major economies. The main results on MIM are broadly robust against transaction costs, which are measured by either quoted spread or effective spread. By using two new spread measures obtained from high and low prices, we show that these measures of transaction cost tend to become smaller toward the end of a trading day, thus establishing MIM in more than 10 years of the 30 min KOSPI index. We also report the solid profitability of such MIM-based trading strategies.
Keywords: market intraday momentum; transaction costs; effective spread; intraday pattern; range market intraday momentum; transaction costs; effective spread; intraday pattern; range

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MDPI and ACS Style

Lai, C.-Y.; Lin, Z.-Y.; Eom, C.; Tsai, P.-C. Market Intraday Momentum with New Measures for Trading Cost: Evidence from KOSPI Index. J. Risk Financial Manag. 2022, 15, 523. https://doi.org/10.3390/jrfm15110523

AMA Style

Lai C-Y, Lin Z-Y, Eom C, Tsai P-C. Market Intraday Momentum with New Measures for Trading Cost: Evidence from KOSPI Index. Journal of Risk and Financial Management. 2022; 15(11):523. https://doi.org/10.3390/jrfm15110523

Chicago/Turabian Style

Lai, Chien-Yuan, Zhen-Yu Lin, Cheoljun Eom, and Ping-Chen Tsai. 2022. "Market Intraday Momentum with New Measures for Trading Cost: Evidence from KOSPI Index" Journal of Risk and Financial Management 15, no. 11: 523. https://doi.org/10.3390/jrfm15110523

APA Style

Lai, C.-Y., Lin, Z.-Y., Eom, C., & Tsai, P.-C. (2022). Market Intraday Momentum with New Measures for Trading Cost: Evidence from KOSPI Index. Journal of Risk and Financial Management, 15(11), 523. https://doi.org/10.3390/jrfm15110523

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